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1.
cookie + party = female masturbation marathon.

i believe "the sarah silverman show" reference to "cookie party" obscures its slang interpretation for comedic value.

my mom knocked on the bathroom door while i was in the middle of a cookie party

or

the only thing i wanted to do friday night was get lit and have a cookie party
by hammond eggs February 09, 2007
 
2.
A cookie party is a normally feminine activity in which cookies/cakes/brownies are made and movies are watched at my house. For some ppl who do this at their own house, they sometimes like to put things in the mix besides whats in the ingredient list.
Let's invite the neighborhood girls and have a Cookie Party!
by roadsideflowers July 03, 2009